Maximum Entropy and Utility in a Transportation System
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.
Méthode d'estimation d'utilités additives concaves en programmation linéaire multiobjectifs
Modélisation des préférences et quasi-ordres. Avant-propos
Multivariate stochastic dominance for multivariate normal distribution
Stochastic dominance is widely used in comparing two risks represented by random variables or random vectors. There are general approaches, based on knowledge of distributions, which are dedicated to identify stochastic dominance. These methods can be often simplified for specific distribution. This is the case of univariate normal distribution, for which the stochastic dominance rules have a very simple form. It is however not straightforward if these rules are also valid for multivariate normal...